On an Optimal Stopping Problem for Multi-Parameter Diffusion Processes

DOI10.1080/02522667.1990.10699038zbMATH Open0722.60039OpenAlexW2084700131MaRDI QIDQ3209937FDOQ3209937

Authors: Yuji Yoshida 

Publication date: 1990

Published in: Journal of Information and Optimization Sciences (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/02522667.1990.10699038

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zbMATH Keywords

stopping timeoptimal stopping problemsBellman equationmulti-parameter processoptimal tactic

Mathematics Subject Classification ID

Random fields (60G60) Diffusion processes (60J60) Stopping times; optimal stopping problems; gambling theory (60G40)

Cites Work

• Extensions of the multiarmed bandit problem: The discounted case
• Title not available (Why is that?)
• Title not available (Why is that?)
• Discrete multiarmed bandits and multiparameter processes
• Two parameter optimal stopping and bi-Markov processes
• Stopping for two-dimensional stochastic processes
• Title not available (Why is that?)
• Continuous multi-armed bandits and multiparameter processes
• Gittins indices in the dynamic allocation problem for diffusion processes
• On randomized tactics and optimal stopping in the plane

Cited In (9)

• Value operators of optimal stopping problems for discrete time multiparameter Markov processes
• Mixed Optimal Stopping and Stochastic Control Problems with Semicontinuous Final Reward for Diffusion Processes
• Optimal Stopping Problem for Stochastic Differential Equations with Random Coefficients
• Stopping problems of certain multiplicative functionals and optimal investment with transaction costs
• Parameter-dependent optimal stopping problems for one-dimensional diffusions
• An optimal stopping problem in the stochastic Gilpin-Ayala population model
• An optimal stopping problem for jump diffusion logistic population model
• Title not available (Why is that?)
• Optimal Stopping of Two-Parameter Processes on Nonstandard Probability Spaces

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